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dc.contributor.authorMatthys, Thomas
dc.contributor.authorMeuleman, Elien
dc.contributor.authorVander Vennet, Rudi
dc.date.accessioned2019-05-06T12:49:56Z
dc.date.available2019-05-06T12:49:56Z
dc.date.issued2018
dc.identifier.urihttp://hdl.handle.net/20.500.12127/6342
dc.description.abstractIn this paper we use corporate syndicated loan data to study the presence of a bank risk-taking channel of unconventional monetary policy in the United States over the period 2008-2015. To account for both actual policy decisions and anticipation effects, we measure the stance of monetary policy by estimating a financial VAR model. We find that accommodative monetary conditions are associated with overall lower loan spreads. Controlling for borrower creditworthiness, we show that the spread reduction is lower for riskier firms, indicating that risk is appropriately priced during the period of unconventional monetary policy. Banks with low non-performing loan ratios and banks characterized by high revenue diversification offer larger loan spread discounts compared to banks with a large amount of non-performing loans and banks with less income diversification. We also find that banks with low capital ratios, less profitable banks and smaller banks more aggressively reduce the corporate loan spreads following an expansionary monetary policy shock, but only for the safest firms. Our findings indicate that unconventional monetary policy actions of the Federal Reserve are not associated with excessive risk taking by banks in the syndicated loan market.en_US
dc.language.isoenen_US
dc.subjectUS Banksen_US
dc.subjectUnconventional Monetary Policyen_US
dc.subjectRisk Takingen_US
dc.subjectSyndicated Loansen_US
dc.titleUnconventional monetary policy and bank risk takingen_US
dc.contributor.departmentGhent Universityen_US
vlerick.knowledgedomainAccounting & Financeen_US
vlerick.typecommWorking paperen_US
vlerick.vlerickdepartmentAF
dc.identifier.vperid137776


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